A Worst-Case Risk Measure by G-VaR  

作　　者：Zi-ting PEI Xi-shun WANG Yu-hong XU Xing-ye YUE 

机构地区：[1]Center for Financial Engineering,Soochow University,Suzhou 215006,China [2]Math Center for Interdiscipline Research,Soochow University,Suzhou 215006,China [3]School of Mathematical Sciences,Soochow University,Suzhou 215006,China

出　　处：《Acta Mathematicae Applicatae Sinica》2021年第2期421-440,共20页应用数学学报（英文版）

基　　金：supported by Natural Science Foundation of China and Jiangsu Province(No.11871050,No.11971342,No.11401414,No.BK20140299,No.14KJB110022)。

摘　　要：G-VaR,which is a type of worst-case value-at-risk(VaR),is defined as measuring risk incorporating model uncertainty.Compared with most extant notions of worst-case VaR,G-VaR can be computed using an explicit formula,and can be applied to large portfolios of several hundred dimensions with low computational cost.We also apply G-VaR to robust portfolio optimization,thereby providing a tractable means to facilitate optimal allocations under the condition of market ambiguity.

关 键 词：risk measurement worst-case value-at-risk portfolio management G-EXPECTATION 

分 类 号：O211.3[理学—概率论与数理统计] F830.9[理学—数学]